Is your BIOS one where you give boot media different priorities so that the medium with higher priority gets to have a go first? If so, first of all make sure your CD-ROM has higher priority than your HDD.
The other common mistake would be to burn the ISO disc image which you have downloaded as a data file, not as a raw image. This gives you just a regular data CD as opposed to a bootable CD which is what you need.
I am not at all familiar with Windows so I can't help you there, but try and get someone to explain to you how to burn a raw ISO9660 image directly onto disc using whichever software you use for burning CDs in Windows.